Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1127
Annualized Std Dev 0.1987
Annualized Sharpe (Rf=0%) 0.5671

Row

Daily Return Statistics

Close
Observations 3961.0000
NAs 1.0000
Minimum -0.0990
Quartile 1 -0.0055
Median 0.0008
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0072
Maximum 0.1016
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0125
Skewness -0.3019
Kurtosis 5.9646

Downside Risk

Close
Semi Deviation 0.0091
Gain Deviation 0.0084
Loss Deviation 0.0095
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.4236
Historical VaR (95%) -0.0191
Historical ES (95%) -0.0296
Modified VaR (95%) -0.0196
Modified ES (95%) -0.0356
From Trough To Depth Length To Trough Recovery
2015-07-21 2020-03-23 NA -0.4236 1428 1177 NA
2007-05-08 2009-03-05 2010-03-17 -0.3685 721 461 260
2011-07-11 2011-08-08 2011-12-07 -0.1574 106 21 85
2010-03-24 2010-06-09 2010-09-10 -0.1243 119 54 65
2014-03-05 2014-04-11 2014-06-20 -0.1145 76 28 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA -0.2 0.9 0.3 0.4 0 0.6 -0.8 1.2
2006 0.5 0.1 0.1 -0.2 0.4 0.6 0.2 0.8 0.7 -1 -0.2 -0.7 1.3
2007 0.8 -1.1 0.3 0.2 0.4 -0.6 0.6 0.4 1.7 -2.1 0.5 -1.1 -0.1
2008 1.2 -1.5 1.8 1.6 0.3 0.9 -1.4 -0.9 0.3 1 -6.5 1.4 -2.1
2009 -1.2 -3.9 -0.7 -1.5 0.5 0.8 -0.2 -1.2 -1.9 -1.3 0.9 -0.7 -9.9
2010 0.3 1 0.5 -1 -1.7 -1.5 0.3 2.3 0.2 0 2 -0.6 1.8
2011 0.9 -1.2 0.5 -0.3 -1.1 1.6 -0.7 -1.1 -0.9 -1.5 0.1 -0.1 -3.8
2012 1.6 0.9 0.6 -0.3 -2.1 1.8 -0.9 0.2 0.6 1.5 0 1.4 5.2
2013 1.1 0.4 -0.4 -1.7 -1.9 1 1.5 -0.8 1.8 0.8 0.1 0 1.9
2014 -1.3 -1.1 0.6 0.4 0.2 2 -0.1 0.3 -1.2 0 -1 -0.7 -1.9
2015 -1.2 -0.7 -0.9 2.1 0.4 0.1 0.6 -2.3 1.1 -1.2 1.5 -1.1 -1.6
2016 0.1 2.4 2 -2.2 0.3 1.2 0.9 -0.3 0.8 0.6 -1.4 0.3 4.7
2017 1.3 -0.6 -0.6 0.1 1.4 -0.3 -0.7 0.2 0.8 0.7 0.5 -1 1.7
2018 1 -1.2 1.1 0.5 0.9 0.1 0 0.1 -1.4 3.1 1.1 1.3 6.7
2019 0.2 1.2 0.1 0.2 -1.5 1 0.5 -0.6 -1.5 0.9 0.1 0.5 1.1
2020 -1.4 -1.7 -3.1 -1.7 -0.4 1 -1.3 -2 0.1 -1 0.7 0.6 -9.9
2021 1.4 1 0.9 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-06-23  14.8 SPY    120. -0.0141  -0.0127  0.003     0.0232   0.0478    0.201   -0.182 GLD    44.0  0.0069   0.0129
2 2005-06-24  14.8 SPY    119. -0.0073  -0.0196 -0.0036    0.0142   0.0452    0.220   -0.199 GLD    43.9 -0.0027   0.0062
3 2005-06-27  14.7 SPY    119.  0.0014  -0.0185 -0.0075    0.0225   0.0502    0.219   -0.195 GLD    43.9  0.0002   0.0057
4 2005-06-28  14.9 SPY    120.  0.0084  -0.0109 -0.0008    0.0167   0.0547    0.208   -0.187 GLD    43.4 -0.0105  -0.0082
5 2005-06-29  14.9 SPY    120. -0.0027  -0.0143  0.00290   0.0159   0.0463    0.211   -0.177 GLD    43.6  0.0041  -0.0021
6 2005-06-30  14.8 SPY    119. -0.0054  -0.0057 -0.011     0.0149   0.0553    0.228   -0.174 GLD    43.4 -0.0044  -0.0132
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart